Really depends on what it is. Some books, movies, and TV shows are written so that you can understand and enjoy them in any order, but others just assume you've been there from the very beginning. This is one of the reasons I rarely watch TV shows or read comic books anymore. Most of them are barely comprehensible to anyone who hasn't seen episode four of season eight or read issue #47 from March 1972. But even if the installments in a series can be understood and enjoyed in any order, yes, I prefer to experience them in order.